DEGREE OF CONVERGENCE OF THE EFFICIENCY OF THE POLISH EQUITY INVESTMENT FUNDS OBTAINED WITH MEASURES BASED ON THE SHARPE RATIO
Journal Title: e-Finanse - Year 2017, Vol 13, Issue 3
Abstract
Long-term persistence of low interest rates and a decline in attractiveness of investing in low-interest bank deposits generate additional demand for investments in investment funds. In such a situation, it is expected to have widespread use of the investment efficiency measures which take into account not only return, but risk level. The study examines eight measures of efficiency based on the Sharpe ratio. The study uses monthly data for 22 active equity funds over the period 2005- 2015. It was found that the majority of funds were more efficient than the market in periods of moderate economic growth and less effective in the period of strong growth on the capital market. The most efficient funds retain high efficiency in all phases of the economic cycle. The efficiency values obtained using indicators: Shape, Treynor, Jensen, Sortino, Omega, Sharpe-Israelsen and IR were strongly correlated, while values of the UPR indicator were significantly different from the other results.
Authors and Affiliations
Sylwester Kozak
Keywords
Related Articles
- EP ID EP323817
- DOI 10.1515/fiqf-2016-0028
- Views 83
- Downloads 0
CORPORATE INCOME TAX RATES IN THE EU MEMBER STATES: WHY LOWER MEANS BETTER
Governments of EU Member States have been reducing statutory corporate income tax rates (“CIT”) for several years. What encourages them to take part in tax competition? The article discusses several issues which are in f...
OPENESS AND TRANSPARENCY OF FISCAL REPORTING IN POLAND – ASSESSMENT AND RECOMMENDATION
The aim of the paper is to answer the question of whether fiscal reporting (more precisely, financial reporting of public finance sector entities (PFSE)) earnestly expressed the results of activities (information include...
EXPENDITURES ON HEALTHCARE VERSUS HEALTH CONDITIONS AMONG NEW MEMBER COUNTRIES OF THE EU
The aging population, the increasing number of lifestyle diseases and the increasing proportion of difficult-to-cure illnesses in the EU demands the use of modern medicine and modern medical technology. Such a situation...
THE COLOR OF GOVERNMENT MONEY. DO INVESTORS DIFFERENTLY VALUE THE INVESTMENT OF SOVEREIGN WEALTH FUNDS?
The article aims at pointing out the differences in market reactions regarding the announcement of an investment of selected Sovereign Wealth Funds in companies listed on the London Stock Exchange. The research sample co...
SIGNIFICANCE OF THE ACCOUNTING PARADIGM IN THE DECISION-MAKING PROCESS IN COMPANY MANAGEMENT (BASED ONIAS ACCOUNTING PRACTICES IN POLAND AND OTHER COUNTRIES)
In this article, we analyze the relations between modern trends in accounting and the decisionmaking process based on the classic profit-opportunity-cost-risk construction. In this aspect, four main types of accounting p...